Hmm. That only ever happens to me if I activate the teleport cheat on the Esc menu, never got it when activating it on the main menu.
Try one of these:
- On the title screen, the one that says ‘Press any key to continue’ or something, activate the cheat there.
- Don’t activate any other cheats on the main menu. You can safely activate everything else while in-game anyway.
- Load a different save. Maybe the save you’re trying to load has already been messed up by previously failed activations.